A fast stationary iterative method for a partial integro-differential equation in pricing options (Q385437)
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scientific article; zbMATH DE number 6235137
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| English | A fast stationary iterative method for a partial integro-differential equation in pricing options |
scientific article; zbMATH DE number 6235137 |
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A fast stationary iterative method for a partial integro-differential equation in pricing options (English)
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2 December 2013
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partial integro-differential equation
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polynomial interpolation
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fast matrix-vector multiplication
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fast approximate inversion
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fast stationary iterative method
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